I just bought ARM-JTAG by Olimex (here it is), cut 20 pins connector and solder a few wires to GP2X's Ext connector (taken from TV cable). For the GP2X side, I took info from here: pin numbers and pin values.
So, I soldered 4 data wires (TDO, TCK, TMS, TDI) and 2 ground wires. JTAG Tool can't...